PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DMXF vs. VEA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DMXF and VEA is 0.93, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

DMXF vs. VEA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Advanced MSCI EAFE ETF (DMXF) and Vanguard FTSE Developed Markets ETF (VEA). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
-2.50%
-1.66%
DMXF
VEA

Key characteristics

Sharpe Ratio

DMXF:

0.36

VEA:

0.34

Sortino Ratio

DMXF:

0.59

VEA:

0.54

Omega Ratio

DMXF:

1.07

VEA:

1.07

Calmar Ratio

DMXF:

0.48

VEA:

0.46

Martin Ratio

DMXF:

1.27

VEA:

1.28

Ulcer Index

DMXF:

3.89%

VEA:

3.35%

Daily Std Dev

DMXF:

13.96%

VEA:

12.81%

Max Drawdown

DMXF:

-34.52%

VEA:

-60.69%

Current Drawdown

DMXF:

-9.86%

VEA:

-8.90%

Returns By Period

In the year-to-date period, DMXF achieves a 4.25% return, which is significantly higher than VEA's 3.21% return.


DMXF

YTD

4.25%

1M

-1.09%

6M

-2.50%

1Y

4.79%

5Y*

N/A

10Y*

N/A

VEA

YTD

3.21%

1M

-1.88%

6M

-1.66%

1Y

4.06%

5Y*

4.90%

10Y*

5.28%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DMXF vs. VEA - Expense Ratio Comparison

DMXF has a 0.12% expense ratio, which is higher than VEA's 0.05% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


DMXF
iShares ESG Advanced MSCI EAFE ETF
Expense ratio chart for DMXF: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

DMXF vs. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI EAFE ETF (DMXF) and Vanguard FTSE Developed Markets ETF (VEA). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for DMXF, currently valued at 0.36, compared to the broader market0.002.004.000.360.34
The chart of Sortino ratio for DMXF, currently valued at 0.59, compared to the broader market-2.000.002.004.006.008.0010.000.590.54
The chart of Omega ratio for DMXF, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.07
The chart of Calmar ratio for DMXF, currently valued at 0.48, compared to the broader market0.005.0010.0015.000.480.46
The chart of Martin ratio for DMXF, currently valued at 1.27, compared to the broader market0.0020.0040.0060.0080.00100.001.271.28
DMXF
VEA

The current DMXF Sharpe Ratio is 0.36, which is comparable to the VEA Sharpe Ratio of 0.34. The chart below compares the historical Sharpe Ratios of DMXF and VEA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.36
0.34
DMXF
VEA

Dividends

DMXF vs. VEA - Dividend Comparison

DMXF's dividend yield for the trailing twelve months is around 2.91%, less than VEA's 3.35% yield.


TTM20232022202120202019201820172016201520142013
DMXF
iShares ESG Advanced MSCI EAFE ETF
2.91%2.29%2.37%1.91%0.31%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VEA
Vanguard FTSE Developed Markets ETF
3.35%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

DMXF vs. VEA - Drawdown Comparison

The maximum DMXF drawdown since its inception was -34.52%, smaller than the maximum VEA drawdown of -60.69%. Use the drawdown chart below to compare losses from any high point for DMXF and VEA. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.86%
-8.90%
DMXF
VEA

Volatility

DMXF vs. VEA - Volatility Comparison

iShares ESG Advanced MSCI EAFE ETF (DMXF) has a higher volatility of 3.86% compared to Vanguard FTSE Developed Markets ETF (VEA) at 3.53%. This indicates that DMXF's price experiences larger fluctuations and is considered to be riskier than VEA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.86%
3.53%
DMXF
VEA
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab